We propose a generalized ordered response model that nests the popular Carlson-Parkin (CP) method to quantify household in flation expectations while explicitly control for cross-sectional heterogeneity in the threshold parameters and the variance. By matching qualitative and quantitative data...

Transportation plays a central role in facilitating economic activities across sectors and between regions, and is thus essential to business cycle research. Using four coincident indicators representing different aspects of the transportation sector that include an index of transportation...

We develop a monthly output index of the U.S. Transportation sector over 1980:1-2002:4 covering air, rail, water, truck, transit and pipeline activities. Separate indexes for freight and passenger are also constructed. Our total transportation output index matches very well with the annual...

We compare the finite sample performance of a number of Bayesian and classical procedures for limited information simultaneous equations models with weak instruments by a Monte Carlo study. We consider recent Bayesian approaches developed by Chao and Phillips (1998, CP), Geweke (1996),...

We develop a Markov Chain Monte Carlo (MCMC) algorithm for estimating nested logit models in a Bayesian framework. Appropriate "heating target" and reparameterization techniques are adopted for fast mixing. For illustrative purposes, we have implemented the algorithm on two real-life examples...

This paper examines the determinants of inflation forecast uncertainty using a panel of density forecasts from the Survey of Professional Forecasters (SPF). Based on a dynamic heterogeneous panel data model, we find that the persistence in forecast uncertainty is much less than what the...

Using a standard decomposition of forecasts errors into common and idiosyncratic shocks, we show that aggregate forecast uncertainty can be expressed as the disagreement among the forecasters plus the perceived variability of future aggregate shocks. Thus, the reliability of disagreement as a...

Using data from the 1992 US National Survey of Veterans, we analyze Medicare-eligible veterans' use of VA and non-VA outpatient health care services. We apply a utility consistent, combined multinomial choice and count data model to identify factors that affect these veterans' outpatient health...

Abstract: We consider how to use information from reported density forecasts from surveys to identify asymmetry in forecasters' loss functions. We show that, for the three common loss functions - Lin-Lin, Linex, and Quad-Quad - we can infer the direction of loss asymmetry by just comparing point...